Does not create a slide show of the pictures. This is an often used feature in Intranets. Example: A news article with a direct link to the slide show view of your company's last event or party.

Although it is possible to email a link to the file (as is also the case in a Picture library), you can't easily embed them in an email or Word document. If you want to do this, you need to manually download the files you want to embed and add them manually
to the email/document.

With a Picture Library, users can easily send pictures (one or more) in an email (embedded in the body or as an attachment) or automatically add them to a Word document. With an Asset Library, users must download the files and manually create the email / document.
Both have the option email a link to the file.

Cons:

Does not have the larger thumbnail option of a picture when you hover over the item.

The library menu is 2007 style, and thus looks different from other SharePoint 2010 libraries.

Has a complicated way of uploading pictures using the "Picture Manager" application.

ConclusionFor pictures, the asset library represents the new choice towards the Digital Asset Management way of working SharePoint is striving towards. For pictures, it's the preferred choice, unless you really need a slideshow view. For other types of content,
the asset library is the way to go.